Well, I can't get the loft to go either, but then I don't know what you're trying to accomplish with this.
Is there any reason why you're not using a sweep?
You do have to use some special settings to get it to work right. I used the direction vector option and picked the Droite plane.
If it gives you more than you need, you can reduce the curve or cut back the resulting solid.
testmatt.SLDPRT.zip 548.0 KB
Tx a lot for your tip.
I added a fifth sketch, between the last and last but one of the sweep, but your tip is better.